How can i export a cylinder from blender to unity3d to be like a unity3d cylinder?
I can't say for certain from the information you've provided, but I suspect that the first cylinder, with the holes through both sides, was created by doing a knife project through the cylinder in wireframe mode, and cut the hole through both sides of the cylinder. I suspect that the other cylinders you made, you used knife project in a different mode, and that the knife project tool only cut the closest surface. To get the hole in the back side, you could either switch to wireframe shading before you do the knife cut, or do the knife cut twice, one for each side. The reason you can see through the wall on the opposite side of your cylinder is because you're looking through the back side of the far wall.

By default, Blender does not use double sided faces, a consequence of which is that in most circumstances, when you look from the backside of a Blender plane, it will not be visible. There are a number of ways that you can address this issue. One is to create extra geometry, so that your cylinder is "double walled", another is to enable double sided faces, as detailed in the answer to this question on Blender stack exchange.